It seems as though the act of crying when sad does nothing to relieve that sadness. Is there an advantage to crying from an evolutionary perspective, or is it the end result of a different process? Also, why is there the same physiological reaction of crying when in sadness or in pain?
First, here is a link to an article that discussion the answer to your question:
Why Cry? Evolutionary Biologists Show Crying Can Strengthen Relationships
The original article to which it refers can be found here:
Emotional Tears as Biological Signals
To speculate a bit on Jez's question, crying in adults could be a result of our possible Neoteny. Crying in infant animals is extremely common as a way to elicit attention and sympathy from the mother. If we are neotenous apes, crying could be a left-over behavior that was seized by evolution, instead of being discarded.